Windows Desktop Application with Auth0 to Okta connection

We have a windows desktop application that we need to enable MFA authentication for a client with the Okta Identity Manager. Now the Okta Web Portal only allows us to register a web app and not a desktop app. We were able to link our application directly to Auth0 and through the Identity service links, were able to connect to Okta. The issue we have is when a user is prompted to enter their password, it redirects the user to the Okta web URL, upon entering their details we do not get any callback or token to say the user has successfully logged into Okta. So now we are sitting with an open browser, logged into Okta and a Desktop application in the background waiting to be logged into. Can anyone direct me to any documentation that might help me with this issue?